Historical statistical volatility is a measure of how much the stock price fluctuated during a given time period.

While historical volatility can be indicative of future volatility, it can also differ greatly from future volatility, depending on what was driving the price changes during the past period. Major expected news items are more important drivers of big moves in the stock price in the near future.

In short, historical volatility is a very rough guide for future volatility, and therefore for implied volatility, which is used to price options. However, historical volatility can be a poor guide for implied volatility in certain situations.

Morningstar calculates historical statistical volatility assuming a log normal return distribution and continuous compounding. Historical statistical volatility is calculated as follows: Daily returns are calculated as return = natural log of (p2/p1). The standard deviation of this return is then calculated for the last 21, 42, 63, 126, 252, 504, and 756 days, corresponding to an average trading month, two months, three months, six months, one year, two years, and three years. The standard deviation is then annualized by multiplying by the square root of (252/number of trading days). The historical statistical volatility values are calculated every evening, and are not updated intra-day.